Seminars: M. V. Boldin, D. Esaulov, Local robustness of GM-tests in AR(1) against outliers

SEMINARS


Principle Seminar of the Department of Probability Theory, Moscow State University April 18, 2012 16:45, Moscow, MSU, auditorium 16-24

Local robustness of GM-tests in AR(1) against outliers M. V. Boldin, D. Esaulov M. V. Lomonosov Moscow State University
Abstract: The report deals with robustness of nonparametric GM-tests against outliers in autoregression model. We consider the local scheme of data contamination by independent additive outliers. The qualitive robustness of tests in term of power equicontinuity is obtained. The optimal robust tests are found.